/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.black;
import static com.opengamma.engine.value.ValuePropertyNames.CURRENCY;
import static com.opengamma.engine.value.ValuePropertyNames.CURVE_EXPOSURES;
import static com.opengamma.engine.value.ValuePropertyNames.SURFACE;
import static com.opengamma.engine.value.ValueRequirementNames.INTERPOLATED_VOLATILITY_SURFACE;
import static com.opengamma.financial.analytics.model.InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE;
import static com.opengamma.financial.analytics.model.InstrumentTypeProperties.SWAPTION_ATM;
import static com.opengamma.financial.analytics.model.curve.CurveCalculationPropertyNamesAndValues.DISCOUNTING;
import static com.opengamma.financial.analytics.model.curve.CurveCalculationPropertyNamesAndValues.PROPERTY_CURVE_TYPE;
import static com.opengamma.financial.analytics.model.volatility.SmileFittingPropertyNamesAndValues.BLACK;
import static com.opengamma.financial.analytics.model.volatility.SmileFittingPropertyNamesAndValues.PROPERTY_VOLATILITY_MODEL;
import java.util.Set;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.model.option.parameters.BlackFlatSwaptionParameters;
import com.opengamma.analytics.financial.model.volatility.surface.VolatilitySurface;
import com.opengamma.analytics.financial.provider.description.interestrate.BlackSwaptionFlatProvider;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface;
import com.opengamma.core.holiday.HolidaySource;
import com.opengamma.core.region.RegionSource;
import com.opengamma.core.security.Security;
import com.opengamma.core.security.SecuritySource;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.function.FunctionExecutionContext;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValuePropertyNames;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.financial.OpenGammaCompilationContext;
import com.opengamma.financial.OpenGammaExecutionContext;
import com.opengamma.financial.analytics.conversion.FixedIncomeConverterDataProvider;
import com.opengamma.financial.analytics.conversion.FutureTradeConverter;
import com.opengamma.financial.analytics.conversion.SwapSecurityConverter;
import com.opengamma.financial.analytics.conversion.SwaptionSecurityConverter;
import com.opengamma.financial.analytics.conversion.TradeConverter;
import com.opengamma.financial.analytics.model.discounting.DiscountingFunction;
import com.opengamma.financial.analytics.model.swaption.SwaptionUtils;
import com.opengamma.financial.convention.ConventionBundleSource;
import com.opengamma.financial.convention.ConventionSource;
import com.opengamma.financial.security.FinancialSecurityUtils;
import com.opengamma.financial.security.FinancialSecurityVisitor;
import com.opengamma.financial.security.FinancialSecurityVisitorAdapter;
import com.opengamma.financial.security.option.SwaptionSecurity;
import com.opengamma.util.money.Currency;
/**
* Base function for all swaption pricing and risk functions that use a Black surface
* and curves constructed using the discounting method.
*/
public abstract class BlackDiscountingSwaptionFunction extends DiscountingFunction {
/**
* @param valueRequirements The value requirements, not null
*/
public BlackDiscountingSwaptionFunction(final String... valueRequirements) {
super(valueRequirements);
}
@Override
protected TradeConverter getTargetToDefinitionConverter(final FunctionCompilationContext context) {
final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
final ConventionBundleSource conventionBundleSource = OpenGammaCompilationContext.getConventionBundleSource(context);
final ConventionSource conventionSource = OpenGammaCompilationContext.getConventionSource(context);
final SwapSecurityConverter swapConverter = new SwapSecurityConverter(holidaySource, conventionSource, regionSource);
final SwaptionSecurityConverter swaptionConverter = new SwaptionSecurityConverter(securitySource, swapConverter);
final FinancialSecurityVisitor<InstrumentDefinition<?>> securityConverter = FinancialSecurityVisitorAdapter.<InstrumentDefinition<?>>builder()
.swaptionVisitor(swaptionConverter)
.create();
final FutureTradeConverter futureTradeConverter = new FutureTradeConverter(securitySource, holidaySource, conventionSource, conventionBundleSource,
regionSource);
return new TradeConverter(futureTradeConverter, securityConverter);
}
/**
* Base compiled function for all pricing and risk functions that use a Black surface
* and curves constructed using the discounting method.
*/
protected abstract class BlackDiscountingCompiledFunction extends DiscountingCompiledFunction {
/**
* @param tradeToDefinitionConverter Converts targets to definitions, not null
* @param definitionToDerivativeConverter Converts definitions to derivatives, not null
* @param withCurrency True if the result properties set the {@link ValuePropertyNames#CURRENCY} property.
*/
protected BlackDiscountingCompiledFunction(final TradeConverter tradeToDefinitionConverter,
final FixedIncomeConverterDataProvider definitionToDerivativeConverter, final boolean withCurrency) {
super(tradeToDefinitionConverter, definitionToDerivativeConverter, withCurrency);
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
final Security security = target.getTrade().getSecurity();
return security instanceof SwaptionSecurity;
}
@Override
protected ValueProperties.Builder getResultProperties(final FunctionCompilationContext compilationContext, final ComputationTarget target) {
final ValueProperties.Builder properties = createValueProperties()
.with(PROPERTY_CURVE_TYPE, DISCOUNTING)
.with(PROPERTY_VOLATILITY_MODEL, BLACK)
.withAny(SURFACE)
.withAny(CURVE_EXPOSURES);
if (isWithCurrency()) {
final Security security = target.getTrade().getSecurity();
final String currency = FinancialSecurityUtils.getCurrency(security).getCode();
properties.with(CURRENCY, currency);
return properties;
}
return properties;
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final Set<ValueRequirement> requirements = super.getRequirements(context, target, desiredValue);
if (requirements == null) {
return null;
}
final ValueProperties constraints = desiredValue.getConstraints();
final Currency currency = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity());
final Set<String> surface = constraints.getValues(SURFACE);
final ValueProperties properties = ValueProperties.builder()
.with(SURFACE, surface)
.with(PROPERTY_SURFACE_INSTRUMENT_TYPE, SWAPTION_ATM).get();
final ValueRequirement surfaceRequirement = new ValueRequirement(INTERPOLATED_VOLATILITY_SURFACE,
ComputationTargetSpecification.of(currency), properties);
requirements.add(surfaceRequirement);
return requirements;
}
@Override
protected boolean requirementsSet(final ValueProperties constraints) {
final Set<String> surfaceNames = constraints.getValues(SURFACE);
if (surfaceNames == null) {
return false;
}
return super.requirementsSet(constraints);
}
/**
* Gets the Black surface and curve data.
* @param executionContext The execution context, not null
* @param inputs The function inputs, not null
* @param target The computation target, not null
* @param fxMatrix The FX matrix, not null
* @return The Black surface and curve data
*/
protected BlackSwaptionFlatProvider getBlackSurface(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final FXMatrix fxMatrix) {
final SecuritySource securitySource = OpenGammaExecutionContext.getSecuritySource(executionContext);
final SwaptionSecurity security = (SwaptionSecurity) target.getTrade().getSecurity();
final InstrumentDefinition<?> definition = getDefinitionFromTarget(target);
final MulticurveProviderInterface data = getMergedProviders(inputs, fxMatrix);
final VolatilitySurface volatilitySurface = (VolatilitySurface) inputs.getValue(INTERPOLATED_VOLATILITY_SURFACE);
final BlackFlatSwaptionParameters parameters = new BlackFlatSwaptionParameters(volatilitySurface.getSurface(),
SwaptionUtils.getSwapGenerator(security, definition, securitySource));
final BlackSwaptionFlatProvider blackData = new BlackSwaptionFlatProvider(data, parameters);
return blackData;
}
}
}